Main Content

Stulz Model

Price European rainbow option with maximum of two risky assets using option pricing model

Functions

maxassetbystulzDetermine European rainbow option price on maximum of two risky assets using Stulz option pricing model
maxassetsensbystulzDetermine European rainbow option prices or sensitivities on maximum of two risky assets using Stulz pricing model
minassetbystulzDetermine European rainbow option prices on minimum of two risky assets using Stulz option pricing model
minassetsensbystulzDetermine European rainbow option prices or sensitivities on minimum of two risky assets using Stulz option pricing model

Examples and How To

Concepts